1. Asymptotically tight conic approximations for chance-constrained AC optimal power flow. (2023). Pan, Kai ; Cheng, Jianqiang ; Yang, Boshi ; Fathabad, Abolhassan Mohammadi.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:305:y:2023:i:2:p:738-753.

   Full description at Econpapers || Download paper

2. Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth. (2019). Mishura, Yuliya ; Bezborodov, Viktor ; Persio, Luca.
   In: Methodology and Computing in Applied Probability.
   RePEc:spr:metcap:v:21:y:2019:i:1:d:10.1007_s11009-018-9650-3.

   Full description at Econpapers || Download paper

3. THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE. (2014). Ielpo, Florian ; Gatumel, Mathieu.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:17:y:2014:i:06:n:s021902491450040x.

   Full description at Econpapers || Download paper

4. Understanding momentum in commodity markets. (2013). Ielpo, Florian ; Gatumel, Mathieu ; Chevallier, Julien.
   In: Applied Economics Letters.
   RePEc:taf:apeclt:v:20:y:2013:i:15:p:1383-1402.

   Full description at Econpapers || Download paper

1. Abel, A. (1994) : Exact Solution of Expected Rates of Return Under Markov RegimeSwitching : Implication for the Equity Premium, Journal of Money, Credit and Banking, 26, 345-361.

2. Abel, A. (1999) : Risk Premia and Term Premia in General Equilibrium, Journal of Monetary Economics, 43, 3-33.

3. Adler, R. J., Feldman, R., and M. Taqqu (1998) : A Practical Guide to Heavy Tails: Statistical Techniques and Applications, Birkh
   Paper not yet in RePEc: Add citation now
   

4. Ait-Sahalia, Y., and A. Lo (1998) : Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, The Journal of Finance, 53, 499-547.

5. Ait-Sahalia, Y., and J. Duarte (2003) : Nonparametric Option Pricing Under Shape Restrictions , Journal of Econometrics, 116, 9-47.

6. Akgiray, V., and G. G. Booth (1987) : Compound Distribution Models of Stock Returns: An Empirical Comparison, The Journal of Financial Research, 10, 269-280.

7. Amin, K. I., and V. K. Ng (1993) : Option Valuation with Systematic Stochastic Volatility, The Journal of Finance, 48, 881-910.

8. Andersen, T., Benzoni, L., and J. Lund (2002) : An Empirical Investigation of ContinuousTime Equity Return Models, The Journal of Finance, 57, 1239-1284.

9. Baillie, R. T., and T. Bollerslev (1989) : The Message in Daily Exchange Rates: A ConditionalVariance Tale, The Journal of Business and Economic Statistics, 7, 297-305.

10. Bakshi, G., and D. Madan (2000) : Spanning and Derivative-Security Valuation, Journal of Financial Economics, 55, 205-238.
    Paper not yet in RePEc: Add citation now
    

11. Bakshi, G., Cao, C., and Z. Chen (1997) : Empirical Performance of Alternative Option Pricing Models, The Journal of Finance, 52, 2003-2049.

12. Bakshi, G., Kapadia, N., and D. Madan (2003) : Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options, The Review of Financial Studies, 16, 101-143.

13. Barndorff-Nielsen, 0. E. (1994) : Gaussian Inverse Gaussian Processes and the Modeling of Stock Returns, Technical Report, Aarhus University.
    Paper not yet in RePEc: Add citation now
    

14. Bates, D. 5. (2000) : Post-'87 crash fears in the S&tP 500 Futures Option Market, Journal of Econometrics, 94, 181-238.

15. Bates, D. S. (1996a) : Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options, The Review of Financial Studies, 9, 69-107.
    Paper not yet in RePEc: Add citation now
    

16. Bates, D. S. (1996b) : Dollar jump fears, 1984-1992 : distributional abnormalities implicit in currency futures options, Journal of International Money and Finance, 15, 65-93.

17. Bauwens, L., Bos, C. S., and H. K. van Dijk (1999) : Adaptive Polar Sampling with an Application to Bayes Measure of Value-at-Risk, Tinb erg Institute Discussion Paper TI 99-082/4, Erasmus University Rotterdam.

18. Billio, M., and L. Pelizzon (2000) : Option Smile and Switching Volatility, GRETA (Venice, Italy), Working Paper n. 00.01.
    Paper not yet in RePEc: Add citation now
    

19. Black, F., and M. Scholes (1973) : The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637-659.

20. Bollen, N. P. B. (1998) : Valuing Options in Regime-Switching Models, Journal of Derivatives, 6, 38-49.
    Paper not yet in RePEc: Add citation now
    

21. Bollerslev, T. (1987) : A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics and Statistics, 69, 542-547.

22. Bollerslev, T., and H. 0. Mikkelsen (1999) : Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics, Journal of Econometrics, 92, 75-99.

23. Bonomo, M., and R. Garcia (1996) : Consumption and Equilibrium Asset Pricing : An Empirical Assessment, Journal of Empirical Finance, 3, 239-265.

24. Br
    Paper not yet in RePEc: Add citation now
    

25. Broadie, M., Chernov, M., and M. Johannes (2004) : Model Specification and Risk Premiums The Evidence from Futures Options.

26. Calvet, L., and A., Fisher (2004) : Asset Prices with Multifrequency Regime-Switching and Learning : A Volatility Specification, Department of Economics, Harvard University.
    Paper not yet in RePEc: Add citation now
    

27. Camara, A. (2003) : A Generalization of the Brennan-Rubinstein Approach for the Pricing of Derivatives, The Journal of Finance, 58, 805-819.

28. Campbell, J., Lo, A. W., and A. C. MacKinlay (1997) : The Econometrics of Financial Markets, Princeton University Press.
    Paper not yet in RePEc: Add citation now
    
29. Campbell, S. D., and C. Li (2002) : Option Pricing in Regime-Switching Environments, Working Paper.
    Paper not yet in RePEc: Add citation now
    

30. Carr, P., Chang, E. C., and D. Madan (1998) : The Variance Gamma Process and Option Pricing, R. H. Smith School of Business, University of Maryland.

31. Carr, P., L. Wu (2003) : The Finite Moment Log Stable Process and Option Pricing, The Journal of Finance, 58, 753-777.

32. Carr, P., L. Wu (2004) : Time-Changed Levy Processes and Option Pricing, Journal of Financial Economics, 71, 113-141.

33. Cecchetti, S., Lam, P.-S., and N. Mark (1990) : Mean Reversion in Equilibrium Asset Prices, American Economic Review, 80, 398-418.

34. Chernov, M., and E. Ghysels (2000) : A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Option Pricing, Journal of Financial Economics, 56, 407-458.

35. Chernov, M., Gallant, R., Ghysels, E., and G. Tauchen (2003) : Alternative Models for Stock Price Dynamics, Journal of Econometrics, 116, 225-257.

36. Chesney, M., and L. Scott (1989) : Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model, The Journal of Financial and Quantitative Analysis, 24, 267-284.

37. Chourdakis, K., and E. Tzavalis (2000) : Option Pricing under Discrete Shifts in Stock Returns , Queen Mary University of London, Department of Economics, Working Paper No. 426.

38. Christoffersen, P., and K. Jacobs (2004) : Which GARCH Model for Option Valuation?, Management Science, 50, 1204-1221.

39. Christoffersen, P., Elkamhi, R., and K. Jacobs (2005) :No-Arbitrage Valuation of Contingent Claims in Discrete Time, Faculty of Management, McGill University and CIRANO.
    Paper not yet in RePEc: Add citation now
    

40. Christoffersen, P., Heston, S., and K. Jacobs (2004) : Option Valuation with Conditional Skewness, Faculty of Management, McGill University and CIRANO.

41. Christoffersen, P., Jacobs, K., and Y. Wang (2005) : Option Valuation with Long-run and Short-run Volatility Components, Faculty of Management, McGill University and CIRANO.

42. Cochrane, J. H. (2001) : Asset Pricing, Princeton University Press.
    Paper not yet in RePEc: Add citation now
    

43. Cont, R. and J. da Fonseca (2002) : Dynamics of Implied Volatility Surfaces, Quantitative Finance, 2, 45-60.

44. Duan, J.-C. (1995) : The GARCH Option Pricing Model, Mathematical Finance, 5, 13-32.

45. Duan, J.-C. (1996) : A Unified Theory of Option Pricing Under Stochastic Volatility - From GARCH to Diffusion, Hong Kong University of Science and Technology, Working Paper.
    Paper not yet in RePEc: Add citation now
    
46. Duan, J.-C. (1999) : Conditionally Fat-Tailed Distributions and the Volatility Smile in Options , Rotman School of Management, University of Toronto.
    Paper not yet in RePEc: Add citation now
    
47. Duan, J.-C. (2002) : Nonparametric Option Pricing by Transformation, Rotman School of Management, University of Toronto.
    Paper not yet in RePEc: Add citation now
    
48. Duan, J.-C., Gauthier, G., Simonato, J. G., and C. Sasseville (2004): Approximate the GJRGARCH and EGARCH Option Pricing Models Analytically, Rotman School of Management, University of Toronto.
    Paper not yet in RePEc: Add citation now
    

49. Duan, J.-C., Popova, I., and P. Ritchken (2002) : Option Pricing under Regime Switching, Quantitative Finance, 2, 116-132.

50. Duan, J.-C., Ritchken, P., and Z. Sun (2005a) : Jump Starting GARCH: Pricing and Hedging Options with Jumps in Returns and Volatilities, Rotman School of Management, University of Toronto.
    Paper not yet in RePEc: Add citation now
    
51. Duan, J.-C., Ritchken, P., and Z. Sun (2005b): Approximating GARCH-Jump Models, JumpDiffusion Processes, and Option Pricing (to appear in Mathematical Finance), Rotman School of Management, University of Toronto.
    Paper not yet in RePEc: Add citation now
    

52. Duffie, D., J. Pan, and K. Singleton (2000) : Transform Analysis and Asset Pricing for Affine Jump Diffusions, Econometrica, 68, 1343-1376.

53. Dumas, B., Fleming, J., and R. E. Whaley (1998) : Implied Volatility Functions: Empirical Tests, The Journal of Finance, 6, 2059-2 106.

54. Eberlein, E., and K. Keller (1995) : Hyperbolic Distributions in Finance, Bernoulli, 1, 281299.
    Paper not yet in RePEc: Add citation now
    

55. Engle, R., and C. Mustafa (1992) : Implied ARCH Models from Option Prices, Journal of Econometrics, 52, 289-311.

56. Epstein, L., and S. Zin (1989) : Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns : A Theoretical Framework, Econometrica, 57, 937-968.

57. Eraker, B. (2004) : Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, The Journal of Finance, 59, 1367-1403.

58. Eraker, B., Johannes, M., and N. Polson (2003) : The Impact of Jumps in Volatility and Returns, The Journal of Finance, 58, 1269-1300.

59. Fama, E. (1965) : The Behavior of Stock Market Prices, Journal of Business, 38, 34-105.
    Paper not yet in RePEc: Add citation now
    
60. Gallant, A. R., and D. W. Nychka (1987) : Seminonparametric maximum likelihood estimation , Econometrica, 55, 363-390.
    Paper not yet in RePEc: Add citation now
    

61. Garcia, R., and E. Renault (1998) : Risk Aversion, Intertemporal Substitution, and Option Pricing, Working Paper Cirano.

62. Garcia, R., Ghysels, E., and E. Renault (2002) : The Econometrics of Option Pricing, Working Paper Cirano.

63. Garcia, R., Luger, R., and E. Renault (2001) : Asymmetric Smiles, Leverage Effects and Structural Parameters, Working Paper Cirano.

64. Garcia, R., Luger, R., and E. Renault (2003) : Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables, Journal of Econometrics, 116, 49-83.

65. Garcia, R., Meddahi, N., and R. Tedongap (2006) : An Analytical Framework for Assessing Asset Pricing Models and Predictability, Working Paper, Universit
    Paper not yet in RePEc: Add citation now
    
66. Gerber, H. U., and E. S. W. Shiu (1994) : Option Pricing by Esscher Transforms, Transactions of Society of Actuaries, 46, 99-191.
    Paper not yet in RePEc: Add citation now
    

67. Ghysels, E., Patilea, V., Renault, E., and 0. Torr~s (1997) : Nonparametric Methods and Option Pricing, Working Paper Cirano.

68. Gordon, S., and P. St-Amour (2000) : A Preference Regime Model of Bear and Bull Markets, American Economic Review, 90, 1019-1033.

69. Gourieroux, C., and A. Monfort (2006) : Econometric Specifications of Stochastic Discount Factor Models, forthcoming Journal of Econometrics.

70. Gourieroux, C., Monfort, A., and V. Polimenis (2002) : Affine Term Structure Models, CREST DP.

71. Gourieroux, C., Monfort, A., and V. Polimenis (2006) : Affine Models for Credit Risk Analysis , forthcoming Journal of Financial Econometrics.

72. Hamilton, J. D. (1989) : A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, 357-384.

73. Hansen, B. E. (1994) : Autoregressive Conditional Density Estimation, International Economic Review, 35, 705-730.

74. Hansen, L. P., and S. Richard (1987) : The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models, Econometrica, 55, 587-613.

75. Harvey, C. R., and A. Siddique (1999) : Autoregressive Conditional Skewness, Journal of Financial and Quantitative Analysis, 34, 465-487.

76. Hass, M., Mittnik, S., and M. Paolella (2002) : Mixed Normal Conditional Heteroskedasticity, Working Paper, Institute of Statistics and Econometrics, University of Kiel, Germany.

77. Heston, S. L. (1993) : A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, 6, 32 7-343.

78. Heston, S. L., and S. Nandi (2000) : A Closed-Form GARCH Option Valuation Model, Review of Financial Studies, 13, 585-625.

79. Huang, J.-Z., L. Wu (2004) : Specification Analysis of Option Pricing Models Based on TimeChanged Levy Processes, The Journal of Finance, 59, 1405-1439.

80. Hull, J., and A. White (1987) : The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42, 281-300.

81. Jondeau, E., and M. Rockinger (2000) : Reading the Smile: The Message Conveyed by the Methods which Infer Risk Neutral Densities, Journal of International Money and Finance, 19, 885-915.

82. Jondeau, E., and M. Rockinger (2001) : Gram-Charlier densities, Journal of Economic Dynamics and Control, 25, 1457-1483.

83. Jondeau, E., and M. Rockinger (2002) : Entropy densities with an application to autoregressive conditional skewness and kurtosis, Journal of Econometrics, 106, 119-142.

84. Jondeau, E., and M. Rockinger (2003) : Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements, Journal of Economic Dynamics and Control, 27, 1699-1737.

85. Jones, C. (2003) : The Dynamics of Stochastic Volatility : Evidence from Underlying and Option Markets, Journal of Econometrics, 116, 181-224.

86. Kon, S. J. (1984) : Models of Stock Returns: A Comparison, The Journal of Finance, 39, 147-165.

87. Kuechler, U., Neumann, K., Soerensen, M., and A. Streller (1999) : Stock Returns and Hyperbolic Distributions, Mathematical and Computer Modeling, 29, 1-15.
    Paper not yet in RePEc: Add citation now
    
88. Lambert, P., and S. Laurent (2000) : Modeling Skewness Dynamics in Series of Financial Data using Skewed Location-Scale Distributions, Working Paper.
    Paper not yet in RePEc: Add citation now
    

89. Lambert, P., and S. Laurent (2001) : Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates, Working Paper.

90. Lin, B. H., and S. K. Yeh (2000) : On the Distribution and Conditional Heteroskedasticity in Taiwan Stock Prices, Journal of Multinational Financial Management, 10, 367-395.
    Paper not yet in RePEc: Add citation now
    

91. Loon, A., Mencia, J., and E. Sentana (2005) : Parametric Properties of Semi-nonparametric Distributions, with Application to Option Valuation, Working Paper CEMFI.

92. Madan, D., and E. Seneta (1990) : The Variance Gamma (V. G.) Model for Share Market Returns, Journal of Business, 63, 511-524.

93. Madan, D., and F. Milne (1994) : Contingent Claims Valued and Hedged by Pricing and Investing in a Basis, Mathematical Finance, 4, 223-245.

94. Mandelbrot, B. (1962) : Paretian Distributions and Income Maximization, Quarterly Journal of Economics, 76, 57-85.

95. Mandelbrot, B. (1963a) : New Methods in Statistical Economics, Journal of Political Economy, 71, 421-440.

96. Mandelbrot, B. (1963b) : The Variation of Certain Speculative Prices, Journal of Business, 36, 394-419.

97. Mandelbrot, B. (1967) : The Variation of some Other Speculative Prices, Journal of Business, 40, 393-413.

98. Mandelbrot, B. (1997) : Fractal and Scaling in Finance. Discontinuity, Concentration, Risk, Springer, New York, Berlin, Heidelberg.
    Paper not yet in RePEc: Add citation now
    
99. McLachlan, G., and D. Peel (2000) : Finite Mixture Models, John Wiley &t Sons, New York.
    Paper not yet in RePEc: Add citation now
    

100. Melick, W. R., and C. P. Thomas (1997) : Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis, The Journal of Financial and Quantitative Analysis, 32, 91-115.

101. Melino, A., and A. X. Yang (2003) : State Dependent Preferences Can Explain the Equity Premium Puzzle, Department of Economics, University of Toronto.

102. Melino, A., and S. Turnbull (1990) : Pricing Foreign Currency Options with Stochastic Volatility , Journal of Econometrics, 45, 239-265.

103. Merton, R. C. (1976) : Option Pricing When the Underlying Stock Returns are Discontinuous , Journal of Financial Economics, 3, 125-144.

104. Mittnick, S., and S. T. Rachev (1993a) : Modeling Asset Returns with Alternative Stable Distributions, Econometric Review, 12, 26 1-330.
     Paper not yet in RePEc: Add citation now
     
105. Mittnick, S., and S. T. Rachev (1993b) : Reply to Comments on Modeling Asset Returns with Alternative Stable Distributions and some extensions, Econometric Review, 12, 347-389.
     Paper not yet in RePEc: Add citation now
     
106. Mittnick, S., Paolella, M. S., and S. T. Rachev (1993a) : Modeling the Persistence of Conditional Volatilities with GARCH-stable Processes, Technical Report, University of California, Santa Barbara.
     Paper not yet in RePEc: Add citation now
     

107. Naik, V. (1993) : Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns, The Journal of Finance, 48, 1969-1984.

108. Palm, F. C., and P. J. G. Vlaar (1993) : The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroskedasticity, and Jumps, Journal of Business and Economic Statistics, 11, 351-360.

109. Palm, F. C., and P. J. G. Vlaar (1997) : Simple Diagnostic Procedures for Modeling Financial Time Series, Allgemeines Statistiches Archiv 81, 85-101.
     Paper not yet in RePEc: Add citation now
     

110. Pan, J. (2002) : The Jump-Risk Premia Implicit in Options : Evidence from an Integrated Time-Series Study, Journal of Financial Economics, 63, 3-50.

111. Paolella, M. (1999) : Tail Estimation and Conditional Modeling of Heterosckedastic Time Series, Ph.D. Thesis, Institute of Statistics and Econometrics, University of Kiel.
     Paper not yet in RePEc: Add citation now
     

112. Renault, E., and N. Touzi (1996) : Option Hedging and Implied Volatilities in a Stochastic Volatility Model, Mathematical Finance, 6, 279-302.

113. Ritchey, R. (1990) : Call Option Valuation for Discrete Normal Mixtures, Journal of Financial Research, 13, 285-296.

114. Rockinger, M., and E. Jondeau (2002) : Entropy Densities with Application to Autoregressive Conditional Skewness and Kurtosis, Journal of Econometrics, 106, 119-142.

115. Rubinstein, M. (1994) : Implied Binomial Trees, The Journal of Finance, 49, 771-818.

116. Scott, L. (1987) : Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application, The Journal of Financial and Quantitative Analysis, 22, 419-438.

117. Stein, E. M., and J. C. Stein (1991) : Stock Price Distributions with Stochastic Volatility: An Analytic Approach, The Review of Financial Studies, 4, 72 7-752.

118. Stutzer, M. (1996) : A Simple Nonparametric Approach to Derivative Security Valuation, The Journal of Finance 51(5), 1633-1652.

119. Tucker, A. L. (1992) : A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns, Journal of Business &t Economic Statistics, 10, 1, 73-81.

120. Tucker, A. L., and L. Pond (1998) : The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes, Review of Economics and Statistics, 11, 638-647.
     Paper not yet in RePEc: Add citation now
     

121. Veronesi, P. (1999) : Stock Market Overreaction to Bad News in Good Times : A Rational Expectations Equilibrium Model, The Review of Financial Studies, 12, 975-1007.

122. Veronesi, P. (2000) : How Does Information Quality Affect Stock Returns?, The Journal of Finance, 55, 807-837.

123. Veronesi, P. (2004) : The Peso Problem Hypothesis and Stock Market Returns, Journal of Economic Dynamics and Control, 28, 707-725.

1. Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks. (2015). Lansing, Kevin.
   In: American Economic Journal: Macroeconomics.
   RePEc:aea:aejmac:v:7:y:2015:i:4:p:67-103.

   Full description at Econpapers || Download paper

2. Asset pricing and the role of macroeconomic volatility. (2014). Giannikos, Christos ; d'Addona, Stefano ; Daddona, Stefano.
   In: Annals of Finance.
   RePEc:kap:annfin:v:10:y:2014:i:2:p:197-215.

   Full description at Econpapers || Download paper

3. Long-Run Risk and Hidden Growth Persistence. (2013). Pakoš, Michal ; Pakos, Michal.
   In: MPRA Paper.
   RePEc:pra:mprapa:47217.

   Full description at Econpapers || Download paper

4. Markov switching models in asset pricing research. (2013). Guidolin, Massimo.
   In: Chapters.
   RePEc:elg:eechap:14545_1.

   Full description at Econpapers || Download paper

5. ASSET PRICING AND THE ROLE OF MACROECONOMIC VOLATILITY. (2011). Giannikos, Christos ; D'Addona, Stefano.
   In: Working Papers.
   RePEc:rcr:wpaper:07_11.

   Full description at Econpapers || Download paper

6. Asset pricing with concentrated ownership of capital. (2011). Lansing, Kevin.
   In: Working Paper.
   RePEc:bno:worpap:2011_18.

   Full description at Econpapers || Download paper

7. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities. (2007). Spencer, Peter ; Kizys, Renatas.
   In: Money Macro and Finance (MMF) Research Group Conference 2006.
   RePEc:mmf:mmfc06:140.

   Full description at Econpapers || Download paper

8. Measuring Interest Rates as Determined by Thrift and Productivity. (2007). Choi, Woon Gyu.
   In: Annals of Economics and Finance.
   RePEc:cuf:journl:y:2007:v:8:i:1:p:167-195.

   Full description at Econpapers || Download paper

9. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
   In: Working papers.
   RePEc:bfr:banfra:188.

   Full description at Econpapers || Download paper

10. Measuring interest rates as determined by thrift and productivity. (2005). Wen, Yi ; Choi, Woon Gyu.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-037.

    Full description at Econpapers || Download paper

11. Catching up with the Americans. (2004). Smoluk, H J ; Vanderlinden, David.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:13:y:2004:i:3:p:211-229.

    Full description at Econpapers || Download paper

12. General Properties of Rational Stock-Market Fluctuations. (2004). Mele, Antonio.
    In: Economics Series.
    RePEc:ihs:ihsesp:153.

    Full description at Econpapers || Download paper

13. General properties of rational stock-market fluctuations. (2004). Mele, Antonio.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24701.

    Full description at Econpapers || Download paper

14. Catching up with the Americans. (2004). Smoluk, H. J. ; Vanderlinden, David.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:13:y:2004:i:3:p:211-229.

    Full description at Econpapers || Download paper

15. Consumption-based asset pricing. (2003). Campbell, John Y..
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-13.

    Full description at Econpapers || Download paper

16. Stock price volatility and equity premium. (2001). Brennan, Michael ; Xia, Yihong .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:47:y:2001:i:2:p:249-283.

    Full description at Econpapers || Download paper

17. Measuring Interest Rates as Determined by Thrift and Productivity. (2000). Wen, Yi ; Choi, Woon Gyu.
    In: Working Papers.
    RePEc:ecl:corcae:00-03.

    Full description at Econpapers || Download paper

18. A Preference Regime Model of Bull and Bear Markets. (2000). St-Amour, Pascal ; Gordon, Stephen.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1019-1033.

    Full description at Econpapers || Download paper

19. Estimating the equity premium. (1999). M. C. Freeman, I. R. Davidson, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:3:p:236-246.

    Full description at Econpapers || Download paper

20. A Preference Regime Model of Bull and Bear Markets. (1999). St-Amour, Pascal ; Gordon, Stephen.
    In: Cahiers de recherche.
    RePEc:lvl:laeccr:9906.

    Full description at Econpapers || Download paper

21. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?. (1998). Mark, Nelson ; Cecchetti, Stephen ; Lam, Pok-Sang .
    In: Working Papers.
    RePEc:osu:osuewp:98-04.

    Full description at Econpapers || Download paper

22. Risk Premia and Term Premia in General Equilibrium. (1998). Abel, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6683.

    Full description at Econpapers || Download paper

23. Pattern recognition and procedurally rational expectations. (1998). Rotheli, Tobias F..
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:37:y:1998:i:1:p:71-90.

    Full description at Econpapers || Download paper

24. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?. (1997). Mark, Nelson ; Cecchetti, Stephen ; P-s. Lam, .
    In: Working Papers.
    RePEc:osu:osuewp:017.

    Full description at Econpapers || Download paper

25. Stock Price Volatility, Learning, and the Equity Premium. (1997). Brennan, Michael ; Xia, Yihong .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt3zw2w634.

    Full description at Econpapers || Download paper

26. Are German stock and bond returns consistent with equilibrium asset pricing? A calibration exercise using recursive non-expected utility. (1996). Meyer, Bernd.
    In: Discussion Papers, Series II.
    RePEc:zbw:kondp2:300.

    Full description at Econpapers || Download paper

27. Asset pricing models with and without consumption data: An empirical evaluation. (1996). Kim, Dongcheol ; HARDOUVELIS, GIKAS ; Wizman, Thierry A..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:3:p:267-301.

    Full description at Econpapers || Download paper

28. Consumption and equilibrium asset pricing: An empirical assessment. (1996). Garcia, René ; Bonomo, Marco.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:3:p:239-265.

    Full description at Econpapers || Download paper

Report date: 2025-09-19 08:02:21 || Missing content? Let us know